Modeling the Volatility in Global Fertilizer Prices

Ping-Yu Chen, Chia-Lin Chang (), Chi-Chung Chen and Michael McAleer

No EI 2010-42, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data for 2003-2008 for the seven price series are analysed. The empirical results suggest that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices.

Keywords: crude oil price; global fertilizer price; non-renewable fertilizers; structural breakpoint unit root test; volatility (search for similar items in EconPapers)
Date: 2010-08-16
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repub.eur.nl/pub/20377/EI2010-42.pdf (application/pdf)

Related works:
Working Paper: Modeling the Volatility in Global Fertilizer Prices (2010)
Working Paper: Modeling the Volatility in Global Fertilizer Prices (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:20377

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).